He didn't say he was physically coming after him. He said there is no where you can go where he can't find you.

That entire scene, the way I saw it, Loki was definitely pulled, mentally, into another realm, that was heavily implied and at the end of the other's speech to him, it seemed like he hurt him. Thanos has always been a powerful telepath. I think that while Loki is imprisoned, he is tortured mentally, astrally by Thanos, and the Other. Making him, Pale, as mentioned, and Messy, as seen, and there is no where Loki can go, because they can get inside his mind. Which in turn, could be why Loki decides to try to learn more magic (seeing him with books in his cell, and blasting those tables away), maybe cause of something Thanos or Other said.

Or, simpler solution:
The Marauders are sent by Thanos.

Not saying your astral projection torture theory isn't possible, either, but if that *does* take place in TDW, then again, Thanos *is* in the movie. You *have* to have Thanos in this movie, even if it's not a physical presence. The setups are all over The Avengers, and you don't leave audiences hanging for the payoff pitch.

Loki has to answer to Odin: "who gave you the Sceptre, and the Chitauri?"
Loki has to answer to Thanos: "Where's my Cube, *****?!? You promised me a ****ing Cube! I want my money, man"
Loki has to answer to the audience: "So....who was the purple guy at the end of The Avengers?"